Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0132
Annualized Std Dev 0.2357
Annualized Sharpe (Rf=0%) 0.0560

Row

Daily Return Statistics

Close
Observations 5192.0000
NAs 1.0000
Minimum -0.1135
Quartile 1 -0.0061
Median 0.0007
Arithmetic Mean 0.0002
Geometric Mean 0.0001
Quartile 3 0.0073
Maximum 0.1375
SE Mean 0.0002
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0006
Variance 0.0002
Stdev 0.0148
Skewness -0.2759
Kurtosis 9.1901

Downside Risk

Close
Semi Deviation 0.0108
Gain Deviation 0.0103
Loss Deviation 0.0118
Downside Deviation (MAR=210%) 0.0154
Downside Deviation (Rf=0%) 0.0108
Downside Deviation (0%) 0.0108
Maximum Drawdown 0.6562
Historical VaR (95%) -0.0226
Historical ES (95%) -0.0364
Modified VaR (95%) -0.0226
Modified ES (95%) -0.0397
From Trough To Depth Length To Trough Recovery
2007-11-01 2009-03-09 NA -0.6562 3369 339 NA
2000-09-05 2003-03-12 2005-08-11 -0.5022 1240 630 610
2006-05-10 2006-06-13 2006-09-27 -0.1360 98 24 74
2007-07-13 2007-08-16 2007-10-11 -0.1252 64 25 39
2007-02-27 2007-03-05 2007-04-03 -0.0851 26 5 21

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2000 NA NA NA NA NA NA -1.4 2.1 -0.6 1.6 1.3 0.9 3.9
2001 0 0.3 1.4 0.1 -1.4 1.1 0.2 0.6 -1 2.2 -0.1 -0.1 3.4
2002 0.2 1 1.3 0.7 -1 0.1 -5.4 -0.2 2.5 0.6 0.4 1 1
2003 2.2 1.5 2 -0.8 0.5 -0.2 -0.3 -1.8 3 -0.2 2.4 0.5 9.2
2004 -0.5 1.1 1.1 -0.1 0.2 -1.3 0 -0.2 1.5 0.3 1.8 -0.4 3.5
2005 1 0.6 -0.5 1.7 0.3 0.1 1.2 1 -0.3 0.5 1.7 -0.5 7
2006 0.5 0.9 -0.7 -0.4 0.8 1.1 -0.5 0.5 -0.3 -0.1 -0.4 0.1 1.4
2007 0.8 -1.3 0.3 0 0.9 0.6 -0.1 1.7 1 -2.4 0.4 -1.2 0.6
2008 1.4 -2.5 3.2 0.7 0.2 -0.9 -1.3 -0.6 -0.1 1.3 -8.8 1.1 -6.6
2009 -0.7 -0.7 2.3 1.2 2.8 1.5 1.7 -2.8 -3 -3.6 2.2 -0.9 -0.1
2010 2 0.2 1.6 -1.6 -1.2 1.7 -0.2 3.9 1.1 -0.6 3.2 0.7 11.2
2011 2.5 -1.6 1.2 0.4 -2.8 0.9 -1.6 -1 -3.7 -4.2 -0.6 0.5 -9.8
2012 2.1 1.4 1 0.8 -2.1 4.2 0.1 0.9 0.9 1.2 0.1 1.7 12.9
2013 1 -0.5 -0.5 -0.6 -2.1 1.2 1 -1.1 0.8 -0.6 0.3 0.4 -0.6
2014 -1.4 0.3 0.7 0.2 0.1 0.9 -0.8 0 -1.3 1.2 -0.1 -0.7 -0.9
2015 -1.6 0.2 0.9 0.8 -0.7 0.5 0.6 -2.9 0 -0.1 0.7 -1.5 -3
2016 -0.2 2.7 -0.9 -0.2 -0.1 0 -1.1 0.6 1.1 -0.4 -0.1 0.6 1.8
2017 0.3 1.2 0.2 0.4 0.6 0 0.5 0.2 0.8 -0.1 -0.4 0 3.8
2018 0.2 -1.1 0.8 -0.5 0.8 1.1 -0.8 -1.1 0 1.6 -0.6 0.3 0.6
2019 0.1 0.6 1.2 -0.8 -0.9 0.3 -0.4 0.4 -1.1 0.7 -0.6 0.6 0.2
2020 -1.6 -0.8 -4.7 -2.1 2.2 0.8 -2.1 -0.1 0.7 -0.4 2.5 -1.1 -6.6
2021 1.4 1.7 0.1 NA NA NA NA NA NA NA NA NA 3.2

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2000-07-28  38.3 SPY    142. -0.0226  -0.0379  -0.0238  -0.0207   0.0704       NA       NA <NA>     NA    NA       NA
2 2000-07-31  39.0 SPY    143.  0.0057  -0.0268  -0.0089  -0.0283   0.074        NA       NA <NA>     NA    NA       NA
3 2000-08-01  38.5 SPY    144.  0.0068  -0.0233  -0.0097  -0.0017   0.0864       NA       NA <NA>     NA    NA       NA
4 2000-08-02  38.5 SPY    145.  0.005   -0.0088  -0.0182   0.021    0.107        NA       NA <NA>     NA    NA       NA
5 2000-08-03  37.9 SPY    146.  0.0069   0.0015   0.0067   0.0267   0.105        NA       NA <NA>     NA    NA       NA
6 2000-08-04  38.1 SPY    146.  0.0054   0.0301   0.0043   0.0198   0.123        NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart